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Quasi maximum likelihood estimation for simultaneous spatial autoregressive models

Wang, Luya and Li, Kunpeng and Wang, Zhengwei (2014): Quasi maximum likelihood estimation for simultaneous spatial autoregressive models.

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Abstract

This paper considers the problem of estimating a simultaneous spatial autoregressive model (SSAR). We propose using the quasi maximum likelihood method to estimate the model. The asymptotic properties of the maximum likelihood estimator including consistency and limiting distribution are investigated. We also run Monte Carlo simulations to examine the finite sample performance of the maximum likelihood estimator.

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